统计与决策2026，Vol.42Issue(5)：36-40,5.DOI:10.13546/j.cnki.tjyjc.2026.05.006
广义自回归条件异方差模型的异常点检验
Outlier Test for Generalized Autoregressive Conditional Heteroscedasticity Model
摘要
Abstract
This paper studies the detection of outliers in a generalized autoregressive conditional heteroscedasticity model un-der normal distribution.Based on the mean shift model and variance weighted model,the expression of the score test statistic and its asymptotic distribution are given,and the effectiveness of this test method is confirmed through numerical simulation.In empirical study,the daily data of the New York Stock Exchange Composite Index are chosen to construct a generalized autoregressive condi-tional heteroscedasticity model,and the differences between the score test method and the local influence analysis method in the di-agnosis of this model are compared and analyzed.关键词
GARCH模型/均值漂移模型/方差加权模型/得分检验/局部影响分析Key words
GARCH model/mean shift model/variance weighted model/score test/local influence analysis分类
数理科学引用本文复制引用
宋鑫,刘永辉,彭红..广义自回归条件异方差模型的异常点检验[J].统计与决策,2026,42(5):36-40,5.基金项目
国家社会科学基金重大项目(22&ZD160) （22&ZD160）
